Exchange rate pass-through,price discrimination,and US meat export prices

Exports are becoming increasingly important for US livestock and poultry producers. Consequently, meat industry participants are concerned about the potential impacts of variations in relative currency values. These effects are considered by quantifying the impacts of relative exchange rates on US beef, pork and poultry export prices. In addition, the impacts of GATT and NAFTA agreements on exchange rate pass-through are considered. The results indicate incomplete exchange rate pass-through occurs for several countries. Trade liberalization under GATT has positively influenced US beef and poultry export prices.     

Exchange rate pass-through to domestic producer prices: Evidence from Korean firm-level pricing survey

This note studies exchange rate pass-through to the prices of domestically produced goods, exploring the firm-level pricing survey conducted by the Bank of Korea. The data reveal the imported inputs channel of, as well as nonlinear and asymmetric, exchange rate-pass-through.     

Petrol prices,oil price rises and oil price falls: some evidence for the UK since 1972

This paper examines the relationship between retail petrol prices, excise duties and crude oil prices in the UK over the period 1973–1988. The existence of a stable relationship between the petrol price, level of excise duty and spot oil price is confirmed through use of the cointegration approach. Although the speed of reaction of petrol prices to changes in the crude price depends on whether crude prices are rising or falling, any asymmetry in the pricing response is virtually absent after an adjustment period of only four months.     

Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: Threshold cointegration

We document a significant threshold cointegrating relationship among effective nominal exchange rates and import prices. Using quarterly data for five industries of 16 OECD countries, we find that the degree of pass-through improves dramatically from the 50% average documented in the literature once threshold effects are recognized. The results of our threshold cointegration model show that import prices respond faster and by a larger extent to nominal exchange rate shocks than is the case for more conventional models. These findings give empirical support to the hypothesis that an equilibrium rate of pass-through exists (e.g. [Bacchetta, P., & Van Wincoop, E. (2005). A Theory of the currency denomination of international trade, Journal of International Economics 67, 295–319; Devereux, M., Engel, C., & Storgaard, P. (2004). Endogenous exchange rate pass-through when nominal prices are set in advance, Journal of International Economics 63(2), 263–291]).     

Time lags in the pass-through of crude oil prices: big data evidence from the German gasoline market

This article investigates the pass-through of global Brent oil notations to fuel prices across the oligopoly of retail majors in Germany. We assemble a high-frequency panel data set that encompasses millions of price observations and allows us to distinguish effects by brand. Upon establishing a cointegrating relationship between fuel and crude oil prices using daily data, we estimate an ECM and find that (1) the pass-through of oil prices critically depends on the number of time lags included in the ECM; (2) strict adherence to classical information criteria for determining lag length yields extremely long pass-through durations and (3) the estimated impulse response functions are virtually identical across brands, irrespective of the lag count, suggesting a high degree of competition among brands.     

Long-term impacts of import prices on domestic prices and wages

Zusammenfassung Anhand österreichischer Quartalsdaten wurde untersucht, ob zwischen Preisen, Reallöhnen, Importpreisen und anderen Variablen kointegrierende Beziehungen bestehen. Da für die untersuchten Zeitreihen mehrere Kointegrationsvektoren gefunden wurden, ergab sich ein Interpretationsproblem. In dieser Arbeit wurde der Kointegrationsraum auf eine Weise transformiert, die es ermöglichte, die Kointegrationsvektoren als Long-run-Multiplikatoren zu interpretieren und daher die langfristigen Auswirkungen einer Importpreiserhöhung auf das heimische Lohn- und Preisniveau zu untersuchen. (Der Anhang beschäftigt sich mit der Frage, unter welchen Voraussetzungen solch eine kausale Interpretation möglich ist.) Die geschätzten Effekte erwiesen sich als numerisch sehr bedeutend — sie liegen etwas höher als in anderen vergleichbaren empirischen Studien — und gegenüber einer Änderung der Auswahl der Variablen als sehr robust.

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I wish to thank H. Abele, E. Dockner, H. Klausinger, K. Neusser and three anonymous referees for many helpful comments and suggestions.     

The impact of oil prices on trade

This paper introduces an oil price–distance interaction variable in a gravity equation to explain how global trade behaves as a result of oil price changes. The findings are that as oil prices increase, international trade becomes more localized in that countries begin trading relatively more with their neighbors. In contrast, when they decrease, trade becomes more dispersed in that the distance between countries becomes less relevant. These results are highly significant across specifications, and the magnitude is not to be ignored. According to the full specification an oil price halving will make trade more dispersed by relatively increasing trade by 40% for a distance of 10,000 miles and by 25% for a distance of 1,000 miles.     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

Estimating a meta-damage regression model for large accidental oil spills

Oil spills cause major damage to both a wide range of economic sectors and the environment. It is therefore important to anticipate the potential damage caused by these types of disasters, which can occur under many different and unpredictable circumstances. In this paper we study the main determining factors of the damage caused by oil spills, focusing in particular on the role played by the legislation applied in preventing these accidents. We find that more restrictive legislation reduces the economic damage caused by vessel oil spills. Based on the results of this international meta-regression, we are able to predict the marginal contributions to the damage function of the most relevant causing factors. These estimated damages can be used for rapid evaluations in the future, in cases where a direct damage assessment is not possible.     

Detecting break in oil price series using the Box-Tiao method

This paper presents an Autoregressive Integrated Moving Average procedure which allows one to test a time series for a structural break at an unknown point in time. It is a variation of the Box-Tiao method designed to test for a structural break due to an intervention at a known time. Applying the procedure to the crude oil market, we were able to statistically show the existence of a structural break in the oil price series and to pinpoint the month during which it took place, January 1986. The results also underscore the need for testing the stability of models estimated using oil price data covering both sides of the structural break and may assist those who study the political events of the period.     

Forecasting crude oil spot price using OECD petroleum inventory levels

This paper presents a short-term monthly forecasting model of West Texas Intermediate crude oil spot price using OECD petroleum inventory levels. Theoretically, petroleum inventory levels are a measure of the balance, or imbalance, between petroleum production and demand, and thus provide a good market barometer of crude oil price change. Based on an understanding of petroleum market fundamentals and observed market behavior during the post-Gulf War period, the model was developed with the objectives of being both simple and practical, with required data readily available. As a result, the model is useful to industry and government decision-makers in forecasting price and investigating the impacts of changes on price, should inventories, production, imports, or demand change. This work is partially sponsored by the Office of Strategic Petroleum Reserve, Department of Energy, USA, and was presented at the International Atlantic Economic Conference, Athens, Greece, March 2001.     

Estimating market power using a composed error model

We present a maximum likelihood based composed error model to estimate market powers of firms. In our model, the stochastic part of the supply relation includes two random components: the conventional two‐sided error term and a random term, which is capturing firm‐specific conducts. Moreover, we provide a generalization of scaled Stevenson stochastic frontier model in the context of doubly truncated normal distributions. We estimate the market powers of Chicago based airlines as an empirical example that is showing the applicability of our estimation procedure.     

The non-linear impact of oil price on the oil demand

ABSTRACT

A panel smooth transition regression model was adopted to analyse the non-linear impact of oil prices on oil demand. Data for 42 countries was obtained from the International Energy Agency for the time period spanning from January 1990 to June 2017. The results indicate that a threshold value does exist. Furthermore, when the oil price was lower than this threshold value, a positive relationship between oil price and oil demand was observed. When the price of oil was higher than the threshold value, however, a negative relationship between price and demand was found.     

The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests

This article investigates the causal impact of oil prices on stock prices in each G7 market as well as in the world market. An asymmetric causality test developed by Hatemi-J is used for this purpose. Since the underlying data appears to be non-normal with time-varying volatility, we use bootstrap simulations with leverage adjustments in order to produce more reliable critical values than the asymptotic ones. Based on symmetric causality tests, we find no causal effect of oil prices on the stock prices of the world market or any of the G7 countries. However, when we apply an asymmetric causality test, we find that increasing oil prices cause stock prices to rise in the world, the U.S. and Japan while decreasing oil prices cause stock prices to fall in Germany. This may imply that the world, the U.S. and Japanese stock markets consider increases in oil prices as an indicator of good news as this may mean that there is an increase in oil demand due to an expected growth in the economy while the German stock market treats decreasing oil prices as a signal of an expected contraction in the economy.     

The impact of oil prices on income and energy

The major determinant of real income growth in Korea is real oil prices, followed by money supply, exchange rates, energy consumption, and government spending. Over the longer horizon, the effects of exchange rates, oil prices, government spending, and money supply become more pronounced. For energy consumption, the most important factor is oil prices, followed by exchange rates, government spending, money supply, and income. For the association between energy consumption and real income, energy consumption influences real income growth only through energy consumption, while real income affects energy consumption only through the error correction term. The findings of the study thus suggest that the level of economic activity and energy consumption mutually influence each other.